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Yes, the answer would be along the lines of unsmoothed returns has a lower sharpe / higher volatility. Do you recall the answer choices by any chance?

I must've not had an issue getting the answer from Lognormal VAR as I simply do not recall this question. Is this the one where they gave 252 trading days (and you had to convert the annual std deviation to daily), or a totally separate question?

And does anyone recall the 2-part question (I think there was at least one).

Was there any relatively simple question on marginal VAR or component VAR for computation? I'm trying to recall what are the questions we've missed out from the Investment Management section (should be 12 total). We have the following: 1. Fama French 3 factor model -> Answer = small minus big...

Can't really recall...was it a direct application of the calculation? Did you have to calculate both the normal VAR and lognormal VAR? If it was a direct computation question and my answer matched....then I wouldn't have thought any more about it. Was this referring to the lognormal VAR...

I mean I can't recall if the question was 100% the same. Was the wording in the exam different from the sample paper? I thought it was the same, yet others are certain the word "conditional" appeared...so I'm not too sure!

Was it a cyclone or flood? While I selected the answer that said the opportunity cost of losing the business (i.e. provision for such a loss), my understanding is, the answer to this should be the one which said "the cost to rebuild the business". Was "rebuild the business" within the same...

8. Credit VAR at 95%, 6 defaults from binomial model -> Answer = 6*2 - 2*68*0.04 = 6.56mil

For the friction question between the arranger and asset manager, does anyone recall the answers? Were two "adverse selection" and two more "moral hazard"? I can't recall what I marked but I just eliminated what didn't make sense.

But this question has appeared exactly the same in the GARP samples and the answer was 10.0% there? I honestly thought this was a free and easy mark... Memory is hazy now....but wasn’t the question worded EXACTLY as above? Or was it worded differently?

Anyone recall the backtesting questions? There were at least 3 of them in the exam...

For some reason I got the VAR to be 14.x. It’s just basic calculation of 130 * z * Stdev of USEQ with USBond. Or maybe it was 16.x and I misremembered. But I know the calculation fit like a glove.

For investment risk 8. Didn’t the question specifically mention about maximising the sharpe ratio though? 9. But Treynor ratio looks at returns against Risk free rate. How does that help in evaluating performance? Plus the denominator would be the beta of their portfolios against market.

Ah yes remember this. Another option was 7.5%. I marked 7.37% as well. Was this for the question that provided a constant credit spread of 480bps, or something else?

@ Why would you apply such a formula for Vasicek? And did you get an answer that was like 2.08 or something? (0.08 above the given initial rate) I got 14.x which matched on my first try. Didn’t look at it any further.

Guys, I seem to recall a question that asked for the quarterly BCVA or DVA or CVA or something? I calculated 240000 and divided by 4 to get 60000.

Thanks so much for adding with more stuff! Some comments: For Vasicek, what formula did you apply? Wasn’t the formula already provided? On the hazard rate, yeah if it was conditional pd then I got it wrong. Yes I marked the option which said spreading ops risk loss into 4 quarters. For risk...

1) If I'm not mistaken, they actually gave the joint default probablity and the individual default probabilities. You had to calculate the correlation. Direct application of formula really. 2) For this, what's the method? I can't even recall what the question wanted. Is it taking PDcum3yrs -...

I believe the answer would have been lower Sharpe ratio / higher volatility. Correct me if I am wrong. I can't recall the verbiage of the answers but it should have been along these lines.

Two of the answers directly and exactly corresponded to the average of the worst five and average of the worst six. The other two answers...I am not sure what they corresponded to, but they were very "nice" numbers too.